[Gretl-devel] ADF p-value glitch?

Hi, please consider this: <hansl> open wgmacro.gdt adf 0 log(income) --ct # gives pos. test stat eval urcpval($test, $nobs, 1, 3) eval urcpval(abs($test), $nobs, 1, 3) # same # just memo, irrelevant: eval urcpval($test, 0, 1, 3)     # asy </hansl> The issue is that the AR coeff is slightly explosive (1.003), which is not in the rejection region of the one-sided DF test. So the test stat is positive instead of negative, but the p-value given by Gretl is strictly <1 (0.9971). I know that philosophically a one-sided test is actually trickier than we tell the students, so I don't mind whether the "correct" result is 1 or NA, but I'm pretty sure it shouldn't be <1. It seems that Gretl just uses the absolute value of the test stat and thus doesn't differentiate between the left and the right side. cheers, sven